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The Use Of Fuzzy Programming For The Management Of Immunised Fixed Income Portfolios

In: Fuzzy Sets In Management, Economics And Marketing

Author

Listed:
  • JORGE DE ANDRÉS

    (Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain)

  • M. GLÒRIA BARBERÀ

    (Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain)

  • ANTONIO TERCEÑO

    (Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain)

Abstract

The programming models for selecting fixed income portfolios that are usually proposed in the literature have a number of limitations. For example, they consider profit and immunising risk to be mutually exclusive or suppose a clearly defined planning horizon. In this paper we propose the use of fuzzy programming to solve these limitations and to formalise the problem in a more realistic and flexible way.

Suggested Citation

  • Jorge De Andrés & M. Glòria Barberà & Antonio Terceño, 2001. "The Use Of Fuzzy Programming For The Management Of Immunised Fixed Income Portfolios," World Scientific Book Chapters, in: Constantin Zopounidis & Panos M Pardalos & George Baourakis (ed.), Fuzzy Sets In Management, Economics And Marketing, chapter 9, pages 129-143, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812810892_0009
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